G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9349
DP9349 Skewness Risk Premium: Theory and Empirical Evidence
Christian Wolff; Thorsten Lehnert
发表日期2013-02-17
出版年2013
语种英语
摘要Using an equilibrium asset and option pricing model in a production economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low riskaversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off.
主题Financial Economics
关键词Asset pricing Skewness risk premium Option markets Central moments Investor sentiment Risk aversion
URLhttps://cepr.org/publications/dp9349
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538185
推荐引用方式
GB/T 7714
Christian Wolff,Thorsten Lehnert. DP9349 Skewness Risk Premium: Theory and Empirical Evidence. 2013.
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